Contributions to Static and Time-varying Copula-based Modeling of Multivariate Association
Martin Ruppert
Broschiertes Buch

Contributions to Static and Time-varying Copula-based Modeling of Multivariate Association

With Applications to Financial Time-Series

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Putting a particular emphasis on nonparametric methods that rely on modern empirical process techniques, the author contributes to the theory of static and time-varying stochastic models for multivariate association based on the concept of copulas. These functions enable a profound understanding of multivariate association, which is pivotal for judging whether a large set of risky assets entails diversification effects or aggravates risk from an entrepreneurial point of view. Since serial dependence is a stylized fact of financial time series, an asymptotic theory for estimating the structure ...